There is a way to do this. After you finish watching your programs from your Roku player just click on the top Home button icon that will take you back to the home page on your Roku. Once there select on your TV remote the source button and select TV or Cable TV, which ever one you have. Once it's back to the TV then turn off your TV. The Roku box will shut off, light and all, between 15 min to an hour. If you do not exit what you are watching on your Roku it will continue playing the programs. That's why the light stays on.